Investment tips for this issue:
Gem ETF options will be listed on September 19. The contract object of gem ETF option is "Yi Fangda gem traded open index securities investment fund", the underlying securities code of the contract is "159915", and the fund manager is Yi Fangda Fund Management Co., Ltd. Starting from September 19, 2022, the Shenzhen Stock Exchange will list the corresponding gem ETF option contracts according to different contract types, maturity months and exercise prices. The first listed option contracts expire in October 2022, November 2022, December 2022 and March 2023.
The introduction of ETF options will help to improve the liquidity and pricing efficiency of the underlying varieties, and enhance the scale of the underlying products. On the one hand, spot and options can build a variety of combination strategies to increase spot demand; on the other hand, exercise requires physical delivery, which also expands the demand for spot. There are many derivative trading strategies based on gem ETF. This paper introduces them from three angles: insurance strategy, enhancement strategy and arbitrage strategy.
Yifangda gem ETF (fund code: 159915, on-site abbreviation: gem ETF) is a wide-based ETF under the EFunda fund. The fund was established on September 20, 2011 and listed on December 9, 2011. The fund managers are Mr. Cheng Xi and Mr. Liu Shurong. Since listing, the size and turnover of ETF on Yifangda gem have increased steadily, reaching 15.11 billion yuan by 2022, with an average daily turnover of 859 million yuan in the past five trading days. At present, there are 14 gem ETF in the market. The gem ETF is one of the first gem ETF established in the market. At present, in terms of scale and liquidity, the gem ETF is the best in the same standard.
Gem Index (ChiNext Index, abbreviated as gem Index, Index Code: 399006) is one of the core indexes of Shenzhen Stock Exchange's multi-level capital market. It is composed of the most representative stocks of companies listed on the gem, reflecting the operation of the gem level. Gem index has a high proportion of emerging industries and high-tech enterprises, with outstanding growth, and has the function of both value scale and investment target.
As of September 6, 2022, gem refers to a total of 100 stocks, the average free circulation market value of 31.064 billion yuan, the market capitalization of constituent stocks is larger. Gem refers to the constituent stocks covering 17 industries in case of application. The power equipment and pharmaceutical and biological industries account for a prominent proportion, reaching 38.83% and 21.12% respectively, accounting for nearly 60% of the total. Gem refers to the first ten components of the equity weight of 50.93%, accounting for a concentrated proportion. The top three stocks are Ningde Times, Oriental Fortune and Mindray Medical, with weights of 18.47%, 7.15% and 4.10%, respectively, which are the leading companies in the power equipment, non-bank finance and pharmaceutical and biological industries.
From 2012-9-6 to 2022-9-6, the gem index performed well, with a cumulative return of 243.45% and an annualized rate of return of 13.54%, significantly exceeding the major broad-base indices of other markets. Taking into account risk-adjusted returns, the annualized Sharpe ratio is 0.57, the highest of the five indices. As of September 6, 2022, the gem index had a price-to-earnings ratio of 47.93 times and a price-to-book ratio of 5.60 times, which is in the 3.96 and 15.44 percentiles of the past three years, respectively.
Risk hint: the research and analysis of fund products and indices in this report are based on historical public information, which may be biased by the changes of index sample stocks; in addition, the historical performance and performance of fund managers do not represent the future; the future performance of the index is affected by multiple factors such as macro environment, market volatility and style transformation, and there is a certain risk of fluctuation. This report does not involve the evaluation business of securities investment funds, the recommendation of fund products, or the recommendation of any index sample stocks.